Risk Measurement for Portfolio Credit Risk Based on a Mixed Poisson Model
Experiences manifest the importance of comovement and communicable characters among the risks of financial assets. Therefore, the portfolio view considering dependence relationship among credit entities is at the heart of risk measurement. This paper introduces a mixed Poisson model assuming default...
Main Authors: | Rongda Chen, Huanhuan Yu |
---|---|
Format: | Article |
Language: | English |
Published: |
Hindawi Limited
2014-01-01
|
Series: | Discrete Dynamics in Nature and Society |
Online Access: | http://dx.doi.org/10.1155/2014/597814 |
Similar Items
-
Credit Risk Measurement of Bank Loan Portfolios
by: Hsu, Yu-Fang, et al.
Published: (2007) -
Entropy based models of portfolio credit risk
by: Yang, Seung Won
Published: (2009) -
Markov Modulated Poisson Processes in Credit Risk Modelling
by: Miao, Daniel Wei-Chung
Published: (2008) -
Large portfolio credit risk modelling
by: Esparragoza Rodriguez, Juan Carlos
Published: (2008) -
Portfolio credit risk through time : measurement methodologies
by: Segoviano, Miguel A.
Published: (2005)